AIL Backtesting Suite

Portfolio Performance Report

Tickers: TSLA

Period: 2017-08-16 to 2018-12-03

Final Value

$987,820.61

Total Return

-1.22%

Annualized Return

-0.94%

Max Drawdown

34.92%

Sharpe Ratio

0.24

Sortino Ratio

0.40

Calmar Ratio

-0.03

Volatility

52.08%

Average Daily Return

0.049%

Best Day

17.35%

Worst Day

-13.90%

Win Rate

47.09%

Recovery Time

Not recovered

External Backtest Comparison

Tolerance: absolute ≤ 1.00e-04, relative ≤ 1.00%

MetricLocalRemoteAbs. diffRel. diffStatus
Final Value$987,820.61$987,575.67$244.940.02%Within tolerance
Total Return-1.22%-1.24%0.02%1.97%Diff exceeds tolerance
Annualized Return-0.94%-0.96%0.02%1.97%Diff exceeds tolerance
Max Drawdown34.92%34.92%-0.00%0.00%Within tolerance
Sharpe Ratio0.240.24-0.000.00%Within tolerance
Sortino Ratio0.400.40-0.000.00%Within tolerance
Calmar Ratio-0.03-0.030.001.97%Diff exceeds tolerance
Volatility52.08%52.08%-0.00%0.00%Within tolerance
Win Rate47.09%0.00%47.09%100.00%Diff exceeds tolerance

Top Contributors (by total return * weight)

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
TSLA100.00%-1.22%-0.94%52.08%0.240.400.049%-1.22%

Bottom Contributors

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
TSLA100.00%-1.22%-0.94%52.08%0.240.400.049%-1.22%

Equity Curve

Drawdown

Daily Return Distribution

Rolling 6M Volatility

Rolling 6M Sharpe

Monthly Return Heatmap

Total Return by Asset

Asset Sharpe Ratios